Table of Contents
Table of Contents
PREFACE
CHAPTER 1: The Binomial Lattice Approach
CHAPTER 2: The Multidimensional Brownian Motion: Numerical Valuation of American and Bermudan Options
ACKNOWLEDGEMENTS
INDEX
Numerical Evaluation of Multi-Dimensional Real Options
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Luis M. Abadie
Basque Centre for Climate Change (BC3), Bilbao, Spain
Jose M. Chamorro
University of the Basque Country, Bilbao, Spain
Series: Mathematics Research Developments
BISAC: MAT000000
Closed-form analytical solutions for the pricing of options are available only in a limited number of simple cases. This book explains the theory of binomial lattices and shows the practice in a number of contexts. First it provides a description of the theoretical underpinnings of this approach. Along the way, its strengths and weaknesses are highlighted. The approach is then applied to the valuation of several investment options. On some occasions the underlying asset of these options is a real (as opposed to financial) asset. (Imprint: Nova)
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